Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1094
Annualized Std Dev 0.2610
Annualized Sharpe (Rf=0%) 0.4192

Row

Daily Return Statistics

Close
Observations 3961.0000
NAs 1.0000
Minimum -0.1077
Quartile 1 -0.0084
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0099
Maximum 0.1039
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0164
Skewness -0.0957
Kurtosis 3.4320

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0110
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.4569
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0258
Modified ES (95%) -0.0405
From Trough To Depth Length To Trough Recovery
2007-10-16 2009-03-09 2010-10-18 -0.4569 758 351 407
2015-07-20 2016-06-27 2020-07-20 -0.4504 1260 238 1022
2011-05-13 2011-08-08 2012-07-02 -0.2636 287 60 227
2006-02-28 2006-07-17 2007-04-23 -0.2112 289 97 192
2014-02-25 2014-04-11 2014-08-25 -0.1886 127 34 93

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA 0 1.2 0.6 0.9 -0.4 1.9 -0.8 3.4
2006 1 1.2 0.2 -1 1.5 0.7 -1.2 0.2 -0.1 -2.3 -1 -0.2 -1
2007 1.2 -1.1 1.1 0 0 -1.1 0.3 1 1.8 -1 0.3 -1.2 1.2
2008 2.1 -1.4 2.7 2.4 -0.3 1.4 -1.6 -0.7 -1.7 3.3 -9 1 -2.3
2009 -0.2 -3.6 -0.9 -1.5 -2.9 -0.2 -0.8 -2.3 -3.4 -1.9 0.7 -0.7 -16.4
2010 0.6 4.4 1 -1.8 -2.4 -1.9 0.9 3.1 0.1 -0.5 1.3 -0.6 3.9
2011 1.3 -1.2 0.7 -0.6 -2.4 1 -1.6 -2.1 -1.4 -4 0.5 -0.1 -9.7
2012 2.5 0.9 -0.2 -0.3 -2.9 2.5 -1.7 0.2 0.4 2.1 -0.6 1.5 4.2
2013 1.2 1.6 -0.9 -1.5 -0.9 3.6 1.7 -1.2 1.6 1.1 0.6 -0.3 6.7
2014 -1.1 -2.5 2.4 0.4 -0.6 2.1 0 1.3 -0.7 -0.4 -1.4 -0.1 -0.8
2015 -1.2 -1.3 0.6 2.6 -0.8 -0.5 1 -2.6 1.1 -0.7 0.4 -0.9 -2.3
2016 0.5 3.5 2.6 -2.6 0.4 2.4 2.8 0.4 1.6 1.4 -2.7 -1.1 9.5
2017 0.8 0.9 -0.8 1.3 2.4 -0.4 -0.6 1.1 1 -1.2 -0.4 -1.1 2.8
2018 0.5 -1.6 0.9 0.3 1.2 1.7 0.4 -0.4 -1.2 3.3 1.2 1.8 8.5
2019 0.1 2.5 0 -1.2 -2.2 0.6 2.7 -0.3 -1.4 2.2 -0.2 0.6 3.2
2020 -1.4 -2.3 -4.6 -2.7 -0.7 1 -2.3 -1.5 1.5 -2.4 1.4 -1.1 -14.3
2021 3.6 2.6 2.1 NA NA NA NA NA NA NA NA NA 8.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-23  14.7 SPY    120. -0.0141  -0.0127  0.003     0.0232   0.0478    0.201   -0.182 GLD    44.0  0.0069   0.0129
2 2005-06-24  14.8 SPY    119. -0.0073  -0.0196 -0.0036    0.0142   0.0452    0.220   -0.199 GLD    43.9 -0.0027   0.0062
3 2005-06-27  14.7 SPY    119.  0.0014  -0.0185 -0.0075    0.0225   0.0502    0.219   -0.195 GLD    43.9  0.0002   0.0057
4 2005-06-28  15.0 SPY    120.  0.0084  -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
5 2005-06-29  15.0 SPY    120. -0.0027  -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
6 2005-06-30  15.0 SPY    119. -0.0054  -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart